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Search: subject_exact:"ARCH-Modell"
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ARCH model
155
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108
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52
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Economic modelling
Journal of econometrics
56
Journal of empirical finance
52
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39
Applied economics
38
Finance research letters
38
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37
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35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
33
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Research in international business and finance
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
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14
Journal of international money and finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
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1
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
2
Extreme risk spillovers across financial markets under different crises
Cao, Yufei
- In:
Economic modelling
116
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014512465
Saved in:
3
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
4
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
5
Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min
;
Taylor, James W.
;
Choo, Wei Chong
- In:
Economic modelling
93
(
2020
),
pp. 651-659
Persistent link: https://www.econbiz.de/10012430324
Saved in:
6
Intersectoral default contagion : a multivariate Poisson autoregression analysis
Escribano, Ana
;
Maggi, Mario Alessandro
- In:
Economic modelling
82
(
2019
),
pp. 376-400
Persistent link: https://www.econbiz.de/10012203181
Saved in:
7
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
8
Testing extreme dependence in financial time series
Chaudhuri, Kausik
;
Sen, Rituparna
;
Tan, Zheng
- In:
Economic modelling
73
(
2018
),
pp. 378-394
Persistent link: https://www.econbiz.de/10012100537
Saved in:
9
Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model
Zhang, Heng-Guo
;
Su, Chi-Wei
;
Song, Yan
;
Qiu, Shuqi
; …
- In:
Economic modelling
67
(
2017
),
pp. 355-367
Persistent link: https://www.econbiz.de/10011813839
Saved in:
10
Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min
;
Jung, Hojin
- In:
Economic modelling
64
(
2017
),
pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
Saved in:
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